Disasterization: A Simple Way to Fix the Asset Pricing Properties of Macroeconomic Models

S-Tier
Journal: American Economic Review
Year: 2011
Volume: 101
Issue: 3
Pages: 406-09

Score contribution per author:

8.043 = (α=2.01 / 1 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A central difficulty in economics is to create a model with both good business cycle properties and asset pricing properties. I show how to solve this difficulty by a simple portable modeling device: the "disasterization" of models. Take an economy with good business cycle properties and create a new, "disasterized" economy, which is essentially identical to the original one except that disasters can destroy part of the capital stock and productivity. In such a disasterized economy, asset prices exhibit high and volatile risk premia, but macro variables remain unchanged. Perturbations of this benchmark allow for feedback from finance to macro.

Technical Details

RePEc Handle
repec:aea:aecrev:v:101:y:2011:i:3:p:406-09
Journal Field
General
Author Count
1
Added to Database
2026-01-25